Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0493 |
| Annualized Std Dev | 0.2000 |
| Annualized Sharpe (Rf=0%) | 0.2468 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5235.0000 |
| NAs | 1.0000 |
| Minimum | -0.1170 |
| Quartile 1 | -0.0045 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0058 |
| Maximum | 0.1283 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0126 |
| Skewness | -0.1465 |
| Kurtosis | 12.0785 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0091 |
| Gain Deviation | 0.0091 |
| Loss Deviation | 0.0102 |
| Downside Deviation (MAR=210%) | 0.0137 |
| Downside Deviation (Rf=0%) | 0.0090 |
| Downside Deviation (0%) | 0.0090 |
| Maximum Drawdown | 0.6191 |
| Historical VaR (95%) | -0.0189 |
| Historical ES (95%) | -0.0307 |
| Modified VaR (95%) | -0.0179 |
| Modified ES (95%) | -0.0229 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-10-22 | -0.6191 | 1609 | 444 | 1165 |
| 2020-02-14 | 2020-03-23 | 2021-01-06 | -0.3851 | 226 | 26 | 200 |
| 2001-05-22 | 2002-10-09 | 2004-03-05 | -0.3576 | 699 | 346 | 353 |
| 2018-01-29 | 2018-12-24 | 2019-11-04 | -0.2034 | 446 | 229 | 217 |
| 2015-05-22 | 2016-02-11 | 2016-08-15 | -0.1775 | 311 | 183 | 128 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | 0.9 | -0.7 | 0.8 | -0.2 | -0.2 | -0.9 | -0.4 | 0.1 | -0.5 |
| 2001 | 0.6 | -0.7 | 1 | 0.8 | 0.2 | 0 | 0.3 | 0.6 | -0.4 | 1.4 | -0.2 | -1 | 2.7 |
| 2002 | -0.7 | 1.8 | -0.6 | 1 | -0.1 | -1.4 | -2.7 | -0.2 | 4 | 1.1 | 0.1 | -0.1 | 2 |
| 2003 | 1.2 | 0.8 | 1.9 | 0 | 2 | 1.2 | -1 | 0.6 | 2.1 | 0.2 | 1.3 | 0.1 | 10.9 |
| 2004 | -0.2 | 1 | 0.5 | -0.7 | 0.2 | -1.2 | 0.2 | 0.2 | 1.4 | 0.2 | 1.3 | 0.1 | 3 |
| 2005 | 0.9 | 0.2 | -0.1 | 1.4 | 1.1 | 0.7 | -0.1 | 0.6 | 0 | 0.4 | 1 | -0.4 | 5.6 |
| 2006 | 0.6 | 0.7 | 0 | -0.5 | 1 | 0.2 | -0.1 | 0.7 | -0.1 | -0.5 | 0 | -0.3 | 1.7 |
| 2007 | 0.7 | -0.2 | 0 | 0.2 | 0.5 | -0.1 | 0.4 | 1.1 | 1.4 | -3.1 | 1.9 | -0.7 | 2.1 |
| 2008 | 1.6 | -2.6 | 3.2 | 1.6 | -0.1 | 0.3 | -0.2 | -0.9 | 0 | 2.1 | -9.2 | 1.9 | -2.8 |
| 2009 | -2.3 | -2.5 | 1.7 | 0.6 | 1.7 | 0.3 | 0.2 | -2.7 | -2.8 | -3.3 | 1.2 | -0.9 | -8.6 |
| 2010 | 1.7 | 1.1 | 0.9 | -1.6 | -2.2 | -0.4 | 0.1 | 3 | 0.6 | -0.1 | 2.1 | 0.1 | 5.4 |
| 2011 | 1.7 | -1.8 | 0.5 | 0.2 | -2.4 | 1.5 | -0.2 | -1.3 | -2.5 | -3.1 | -0.3 | -0.5 | -8 |
| 2012 | 1.1 | 1 | 0.4 | 0.9 | -2.5 | 2.4 | -0.1 | 0.4 | 0.2 | 1.2 | 0.1 | 1.8 | 7 |
| 2013 | 0.9 | 0.3 | -0.3 | -1.1 | -1.5 | 0.5 | 1.2 | -0.3 | 0.7 | 0.3 | -0.2 | 0.4 | 0.9 |
| 2014 | -0.7 | 0.3 | 0.4 | 0 | 0.1 | 0.6 | -0.2 | 0.3 | -1.2 | 1 | -0.5 | -1.1 | -1.1 |
| 2015 | -1.4 | -0.3 | -0.4 | 0.9 | 0.1 | 0.6 | -0.4 | -3.1 | 0.1 | -0.5 | 1 | -0.8 | -4.1 |
| 2016 | -0.3 | 2.3 | 0.5 | -0.6 | 0.2 | 0.1 | -0.5 | -0.1 | 0.9 | -0.7 | 0.2 | -0.1 | 1.9 |
| 2017 | -0.3 | 1.5 | -0.3 | 0.1 | 0.9 | 0.1 | 0.2 | 0.4 | 0.2 | 0.3 | 0.1 | -0.3 | 2.9 |
| 2018 | 0.2 | -1.1 | 1.2 | -0.2 | 0.8 | 0.1 | -0.5 | -0.1 | 0.3 | 0.8 | 0.6 | 0.9 | 3 |
| 2019 | 0.3 | 0.6 | 1.1 | -0.8 | -1.3 | 0.8 | -1.2 | 0.2 | -1.5 | 1.1 | -0.4 | 0.3 | -0.7 |
| 2020 | -1.8 | -1.2 | -4.7 | -3 | 0.5 | -0.1 | -0.3 | 0.3 | 0.2 | 0 | 0.9 | 0.8 | -8.1 |
| 2021 | 1.1 | 2.3 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-05-26 55.5 SPY 138 0.0011 -0.0221 -0.0548 0.0138 0.0599 NA NA <NA> NA NA NA
2 2000-05-30 56.1 SPY 143. 0.0342 0.019 -0.0164 0.0384 0.1 NA NA <NA> NA NA NA
3 2000-05-31 56.5 SPY 143. 0.0007 0.0349 -0.0289 0.0316 0.0996 NA NA <NA> NA NA NA
4 2000-06-01 57.1 SPY 145. 0.0175 0.0361 0.0082 0.049 0.113 NA NA <NA> NA NA NA
5 2000-06-02 58.1 SPY 148. 0.0174 0.0725 0.0439 0.0476 0.110 NA NA <NA> NA NA NA
6 2000-06-05 57.8 SPY 147. -0.0049 0.0661 0.0375 0.0523 0.102 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
